This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Estrategias Optimas De Cobertura En Presencia De Incertidumbre En Costos Y Cantidad

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
AUGUSTO CASTILLO R. () (Escuela de Administración, Pontificia Universidad Católica de Chile)
RAFAEL AGUILA () (Escuela de Administración, Pontificia Universidad Católica de Chile)

Additional information is available for the following registered author(s):

Abstract

This paper discusses how to achieve the optimal hedging of a cash flow when facing price risk of the product the company sells, when we are also in the presence of cost and quantity uncertainty. We present an analytical solution to the optimal hedging strategy in the general case and in some particular situations. We also obtain an expression to measure the efficiency of this hedging strategy. We identify the key parameters affecting the optimal hedging strategy, which are the volatilities of the random variables considered and the correlation coefficients among them. Finally we figure out how those parameters affect the optimal hedging strategy when the random variables present log normal distributions.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.abante.cl/files/ABT/Contenidos/Vol-8-N2/Aguila.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by Escuela de Administracion. Pontificia Universidad Católica de Chile. in its journal ABANTE.

Volume (Year): 8 (2005)
Issue (Month): 2 ()
Pages: 88-110
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:pch:abante:v:8:y:2005:i:2:p:88-110

Contact details of provider:
Web page: http://www.eauc.cl/
More information through EDIRC

Order Information:
Email:

For technical questions regarding this item, or to correct its listing, contact: (Verónica Gil).

Related research
Keywords: Hedging; Quantity Uncertainty; Chile;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Kerkvliet, Joe & Moffett, Michael H., 1991. "The Hedging of an Uncertain Future Foreign Currency Cash Flow," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(04), pages 565-578, December. [Downloadable!]
  2. Smith, Clifford W. & Stulz, Ren? M., 1985. "The Determinants of Firms' Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(04), pages 391-405, December. [Downloadable!]
  3. Moschini, Giancarlo & Lapan, Harvey, 1995. "The Hedging Role of Options and Futures under Joint Price, Basis, and Production Risk," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(4), pages 1025-49, November. [Downloadable!] (restricted)
  4. Kawai, Masahiro, 1983. "Spot and Futures Prices of Nonsotrable Commodities under Rational Expectations," The Quarterly Journal of Economics, MIT Press, vol. 98(2), pages 235-54, May. [Downloadable!] (restricted)
  5. Rolfo, Jacques, 1980. "Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 100-116, February. [Downloadable!] (restricted)
  6. Anderson, Ronald W & Danthine, Jean-Pierre, 1983. "Hedger Diversity in Futures Markets," Economic Journal, Royal Economic Society, vol. 93(37), pages 370-89, June. [Downloadable!] (restricted)
  7. Antonio S. Mello & John E. Parsons, 1995. "Maturity Structure Of A Hedge Matters: Lessons From The Metallgesellschaft Debacle," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 106-121. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? Authors can create their own profile with links to their works on the RePEc Author Service.

This page was last updated on 2009-11-29.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.